3420 Discussion Papers

• 13-022/III - Financial Dependence Analysis: Applications of Vine Copulae

  Authors: David E. Allen, Edith Cowan University, Australia; Mohammad A. Ashraf, Indian Institute of Technology, Kharagpur, India; Michael McAleer, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan; Robert J. Powell, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia

  Date: January 22, 2013

• 13-021/III - Recent Developments in Financial Economics and Econometrics: An Overview

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; David Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain; Kyoto University, Japan

  Date: January 21, 2013

• 13-020/III - Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

  Authors: David E. Allen, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia; Robert J. Powell, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain, and Kyoto University, Japan; James Taylor, University of Oxford, Oxford; Lyn Thomas, University of Southampton, Southampton

  Date: January 18, 2013

• 13-019/VIII - Regulation of Road Accident Externalities when Insurance Companies have Market Power

  Authors: Maria Dementyeva, VU University Amsterdam; Paul R. Koster, VU University Amsterdam; Erik T. Verhoef, VU University Amsterdam

  Date: January 18, 2013

• 13-018/III - A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

  Authors: David E. Allen, Edith Cowan University; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain, and Kyoto University, Japan; Robert Powell, Edith Cowan University; Abhay K. Singh, Edith Cowan University

  Date: January 17, 2013

• 13-017/V - Can Risk Adjustment prevent Risk Selection in a Competitive Long-Term Care Insurance Market?

  Authors: Piet Bakx, Erasmus University Rotterdam; Erik Schut, Erasmus University Rotterdam; Eddy van Doorslaer, Erasmus University Rotterdam

  Date: January 17, 2013

• 13-016/II - Individual Expectations and Aggregate Macro Behavior

  Authors: Tiziana Assenza, Catholic University of Milan; Peter Heemeijer, University of Amsterdam, and ABN AMRO; Cars Hommes, University of Amsterdam; Domenico Massaro, University of Amsterdam

  Date: January 14, 2013

• 13-015/II - Behavioral Heterogeneity in U.S. Inflation Dynamics

  Authors: Adriana Cornea, University of Exeter; Cars Hommes, University of Amsterdam; Domenico Massaro, University of Amsterdam

  Date: January 14, 2013

• 13-014/II - Behavioral Learning Equilibria

  Authors: Cars Hommes, University of Amsterdam; Mei Zhu, Shanghai University of Finance and Economics

  Date: January 14, 2013

• 13-013/VI - Financial Frictions and the Credit Transmission Channel: Capital Requirements and Bank Capital

  Authors: Lucyna Gornicka, University of Amsterdam; Sweder van Wijnbergen, University of Amsterdam

  Date: January 14, 2013

• 13-012/VII - Mergers in Bidding Markets

  Authors: Maarten Janssen, University of Vienna; Vladimir Karamychev, Erasmus University Rotterdam

  Date: January 10, 2013

• 13-011/III - Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series

  Authors: Nalan Basturk, Erasmus University Rotterdam; Cem Cakmakli, University of Amsterdam; Pinar Ceyhan, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam, and VU University Amsterdam

  Date: January 10, 2013

• 13-010/III - Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

  Authors: Michael McAleer, Erasmus University Rotterdam; Juan-Ángel Jiménez-Martín, Complutense University of Madrid; Teodosio Pérez-Amaral, Complutense University of Madrid

  Date: January 08, 2013

• 13-009/III - Volatility Spillovers from the US to Australia and China across the GFC

  Authors: David E. Allen, Edith Cowan University; Michael McAleer, Econometric Institute, Erasmus University Rotterdam, Complutense University of Madrid, and Kyoto University; R.J. Powell, Edith Cowan University; A.K. Singh, Edith Cowan University

  Date: January 08, 2013

• 13-008/III - Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

  Authors: Chia-Lin Chang, National Chung Hsing University, Taiwan; Hui-Kuang Hsu, National Pingtung Institute of Commerce, Taiwan; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain

  Date: January 07, 2013

• 13-007/III - How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?

  Authors: Lan-Fen Chu, National Science and Technology Center for Disaster, Taiwan; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Complutense University of Madrid; Chi-Chung Chen, National Chung Hsing University, Taiwan

  Date: January 08, 2013

• 13-006/III - Statistical Modelling of Extreme Rainfall in Taiwan

  Authors: Lan-Fen Chu, National Science and Technology Center for Disaster Reduction (NCDR), Taiwan; Michael McAleer, Erasmus University Rotterdam,Kyoto University, Japan, and Complutense University of Madrid; Ching-Chung Chang, Academia Sinica, Taiwan

  Date: January 08, 2013

• 13-005/III - Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

  Authors: Marcin Jaskowski, Erasmus University Rotterdam; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain

  Date: January 07, 2013

• 13-004/III - Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan

  Authors: Lan-Fen Chu, National Science and Technology Center for Disaster Reduction (NCDR); Michael McAleer, Erasmus University Rotterdam, Kyoto University Japan, Complutense University of Madrid; Szu-Hua Wang, Chinese Cultural University, Taiwan

  Date: January 07, 2012

• 13-003/III - Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

  Authors: Manabu Asai, Soka University, Japan; Michael McAleer, Erasmus University Rotterdam, The Netherlands; Kyoto University, Japan; Complutense University of Madrid, Spain

  Date: January 07, 2013